Peters, Gareth W.; Briers, Mark; Shevchenko, Pavel V.; … - arXiv.org - 2011
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long and short term dynamic factors to be mean reverting...